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SPY Trend with Staples, Energy and Dollar Defense vs Macro-Filtered Short-Term Momentum with Mean Reversion

Every published figureShow 42 attributes

Each row is one exact variant (window and basis), so a value appears only where a source publishes it.

Classification

AI categories (Composer)

defensive overlay, dollar/commodities tilt, multi-asset, regime-switching, sector rotation, tactical asset allocation, trend-following

daily rebalance, long/short, macro regime rotation, momentum + mean reversion, multi-asset, risk-managed, tactical etf, volatility hedging

Asset classes / instruments

equities

Market-relative

Alpha vs SPY, out-of-sample (out-of-sample)

0.03

—

Beta vs SPY, out-of-sample (out-of-sample)

0.82

—

Correlation (R) vs SPY, out-of-sample (out-of-sample)

0.77

—

Trading activity

Annualized turnover, backtest period (backtest)

29.96

—

Annualized turnover, out-of-sample period (out-of-sample)

21.31

—

Daily win rate, backtest period (backtest)

55.88%

—

Daily win rate, out-of-sample period (out-of-sample)

55.38%

—

Backtest

Backtest final value (from $10,000)

$90k

—

Backtest regulatory fees

$262

—

Backtest slippage cost

$1,973

—

Returns

Backtest length

2,407

—

Out-of-sample length

753

—

Return, backtest period (annualized) (backtest)

25.91%

—

Return, backtest period (cumulative) (backtest)

804.26%

—

Return, out-of-sample period (annualized) (out-of-sample)

22.24%

76.55%

Return, out-of-sample period (cumulative) (out-of-sample)

82.38%

3.91%

Return, trailing 1 day (out-of-sample)

0.16%

—

Return, trailing 1 month (out-of-sample)

2.57%

0.00%

Return, trailing 1 week (out-of-sample)

0.76%

—

Return, trailing 1 year (backtest)

12.72%

—

Return, trailing 1 year (out-of-sample)

12.72%

0.00%

Return, trailing 2 weeks (out-of-sample)

1.04%

—

Return, trailing 3 months (out-of-sample)

3.74%

0.00%

SPY annualized return over the backtest window (backtest)

15.08%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.45

—

Calmar ratio, out-of-sample period (out-of-sample)

1.46

180.23

Maximum drawdown, backtest period (backtest)

-17.85%

—

Maximum drawdown, out-of-sample period (out-of-sample)

-15.19%

-0.42%

Sharpe ratio, backtest period (backtest)

1.33

—

Sharpe ratio, out-of-sample period (out-of-sample)

1.33

9.00

Sortino ratio, backtest period (backtest)

2.00

—

Sortino ratio, out-of-sample period (out-of-sample)

2.04

—

Standard deviation, backtest period (backtest)

18.59%

—

Standard deviation, out-of-sample period (out-of-sample)

16.15%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

Concentration (Herfindahl index, out-of-sample, as Composer reports it)

0.93

—

Construction

Logic complexity (node count)

119

—

Rebalance frequency

daily

Popularity

Remixes (copies)

—

Watchers

—

Compare investment strategies

At a glance

Growth of $10,000

What they say: stated rules

What they hold

Do the holdings back the rules?

Costs, access & sources

Compare investment strategies

At a glance

Growth of $10,000

What they say: stated rules

What they hold

Do the holdings back the rules?

Costs, access & sources